You couldn't be more wrong Overkill. dparm is exactly right.
First, its not 1/4 hp, it would be more like around 1%-2% fuel economy and power difference using a GF-5 qualified 5w-30 (Sequence VID, remember OverK?) compared to a less friction-modified heavier 0w-40. I've seen this many times in SAE techee papers & GF-5 summaries. I suggest you educate yourself on this, its interesting.
Most of the fuel economy gains are realized during warm-up, look at Seq. VID:
http://www.intertek.com/automotive/lubricant/vid/
Temps the test is performed at are 35C, 65C and 115C. Since the heavier oil is a LOT heavier at lower temperatures, for the period in which the engine sees these temperatures, there will be a measurable effect on fuel economy. HOWEVER, once the engine is warmed up the difference is likely indiscernible. So unless your driving habits reflect constantly running the oil at warm-up temps, the effect on fuel economy is not going to be what you think it is.
Regarding power output, even using your figures, which are likely optimistic, on a 200HP engine we are talking 2-4HP. You can't feel 2-4HP. If you wanted to test the power difference, one could take the car to the drag strip and run 1/4 mile passes with both oils in the sump. The MPH difference between multiple runs on the same oil compared to runs made on the other oil will tell you if you've lost or gained power.
Secondly, friction creates heat, its a physical reality. More hydrodynamic friction, more heat, and the around 1% power/MPG benefit is a direct reflection of the joules lost in the form of heating the oil up to higher levels.
OverK, I think you know dparm is right and just enjoy disagreeing.
Shannow did the calculations on that one quite some time back and the loss of power here was minescule. And yes, friction creates heat, and oils get thinner as they get hot. Do you know what the viscosity difference between M1 0w-40 at 190F is and a 5w-30 at 185F is? about 1cSt. Oil temperature plays a far greater role than most realize.
And yes, I enjoy disagreeing, these conversations are a lot of fun

I find it funny that we are fretting over the differences between a high VI 0w-40 and your plain-Jane GF-5 5w-30 PCMO when the difference between the spec oil in dparm's car (TWS 10w-60) and either oil is MASSIVELY greater. It is all about perspective. Just the difference between seasons, driving in January vs April is going to affect actual operating viscosity far more than the number on the bottle with the two oils we are discussing. I observed this first-hand with the M5, which has a thermostatically controlled oil cooler.
Then think about the viscosity of the oil in your transmission and differential during the winter

So while I certainly appreciate the fuel economy testing that is performed, I think we also need to remember that this is an engine dyno test in a controlled environment with no powertrain attached to it and the test is designed to replicate the fuel economy gains during warm-up (hence the oil temperatures used). Context is key here. If you do mostly highway, the benefits, which you stated as being 1-2%, become significantly less than that once out of that protocol. See what I'm getting at? The difference between the two oils is 15cSt at 40C and a solid 20cSt at the testing temperature of 35C. But once we are at temp, the difference is only 2.5cSt. And this is also why VI is relevant to fuel economy testing too. A heavier, low-VI 5w-40 would be even thicker at the lower testing temperatures, even a Euro 0w-30 would cede a solid visc difference in this scenario.
I think we get a little too dramatic about some of this stuff sometimes. There are so many factors and variables, we cannot just rely on one test as our benchmark.